The most likely problem is a bad thermocouple. Pilot-equipped appliances have a thermocouple to make sure the pilot is lit before turning on the main gas flow. You'll see the end of the thermocouple looking like a metal rod sticking into the pilot flame. Replacing the thermocouple is not difficult. There's a nut that holds the thermocouple into the pilot assembly, and another that holds the thermocouple lead into the main gas valve. Universal replacements are available for under $10. Several websites have good step-by-step instructions if you need them.

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do you have the pilot light burning if not then you have to get in burning first Put knob in pilot position push down and hold for at least 30 seconds or longer then if there is an igniter push and release it push and release till pilot light comes on .Continue to hold pilot light button down for another 10 seconds or so, release pilot button and turn button to on or up a number or set T stat Main flame should come on and burn

Problem is an obstructed gas oriface. The burners light from the burner closest to the pilot assembly out like a dominoe effect. The explosion is because the gas has to make its way over to the pilot from a further burner thus filling the firebox full of gas before it ignites. This blockage is most commonly from a spider web inside the oriface itself. Pull the burner tray, remove the orifaces from the tray and look through each one cleaning them out with a toothpick from the backside. The orifaces should be threaded on the gas line coming off the gas valve (looks like a silver box inside the front panel)

you can try cleaning the pilot light with sand paper, (where the hole in the end is where the gas comes out) they get carbon built up over time and causes the hole to get smaller which makes the pilot light not want to stay light because of the small amount of gas coming out.

check to make sure your pilot orfice is not clogged it will be located at the end of the small tube coming from your gas control valve if its not then while you are trying to light the pilot tap the side of the gas valve (sometims somewhat hard) if it then lights you know you have a bad gas valve

the pilot light is operated off a millivolt generator. that is the small tube directly in the pilot flame. its purpose is to generate a small dc current which is connected to the pilot valve inside the main valve. setting the control to pilot opens just the pilot gas supply. when operating normally the millivolt generator keeps a small electromagnet pulled in that keeps the pilot gas supply open. if it don't work the pilot gas supply valve closes. replace the thermocouple.